The Performance of Johnson Distributions for Computing Value at Risk and Expected Shortfall PoorSatisfactoryGoodVery GoodExcellent Be the first. (0 ratings) Log in to rate this article. CFA Digest February 2012 | Vol. 42 | No. 1 | 3 pages Source: CFA InstituteJean-Guy SimonatoNicholas J. Handley, CFA (Reviewer) Read Abstract The author proposes the Johnson family of distributions as a superior approach toapproximating unknown return distributions and calculating their risk measures,such as value at risk (VaR) and expected shortfall (ES). This method providesvalid approximations across the spectrum of skew–kurtosis pairs, incontrast to the commonly used Gram–Charlier and Cornish–Fisherapproaches, and returns quantitatively superior VaR and ES estimates. View more information Topics Quantitative Methods : Basic Statistical and Probability Concepts | Risk Management : Firmwide Risk Management Credits · About the CE Program 0 CE (including 0 SER) Record credits Credits recorded Members, log in to record your credits. Manage CE Credits People who viewed this page also viewed: Advanced Risk and Portfolio Management Bootcamp - ARPM Bootcamp The six-day course provides in-depth understanding of buy-side quantitative modeling from the foundations to the most advanced statistical ... More Loading ...